Bayesian Inference in Structural Second-Price Common Value Auctions
共同价值二价拍卖结构模型的贝叶斯推断
Structural econometric auction models with explicit game-theoretic modeling of bidding strategies have been quite a challenge from a methodological perspective, especially within the common value framework. We develop a Bayesian analysis of the hierarchical Gaussian common value model with stochastic entry introduced by Bajari and Hortaçsu. A key component of our approach is an accurate and easily interpretable analytical approximation of the equilibrium bid function,…